Search for items in this repository.
Analysis of the efﬁciency of the Iberian power futures market.
Capitán Herráiz, Álvaro and Rodríguez Monroy, Carlos
Analysis of the efﬁciency of the Iberian power futures market..
"Energy Policy", v. 37
Market efficiency is analysed for the Iberian Power Futures Market and other European Power Markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium. The equilibrium price from compulsory call auctions for distribution companies within the framework of the Iberian Power Futures Market is not optimal for remuneration purposes as it seems to be slightly upward biased. In the period considered (August 2006–July 2008), monthly futures contracts behave similarly to quarterly contracts. Average risk premia have been positive in power and natural gas markets but negative in oil and coal markets. Different hypotheses are tested regarding increasing volatility with maturity and regarding Forward Risk Premium variations (decreasing with variance of spot prices during delivery period and increasing with skewness of spot prices during delivery period). Enlarged data sets are recommended for stronger test results. Energy markets tend to show limited levels of market efficiency. Regarding the emerging Iberian Power Futures Market, price efficiency is improved with market development of all the coexistent forward contracting mechanisms and with further integration of European Regional Electricity Markets.
Check whether the anglo-saxon journal in which you have published an article allows you to also publish it under open access.
Check whether the spanish journal in which you have published an article allows you to also publish it under open access.